Getting bit is a new one, but he still doesn't let go. If he felt confident that he'd be able to hold her thread to her body tightly, he'd shift them to the others. However, with their current situation, Thanatos questions his ability. He won't risk hurting her no matter the damage she tries to inflict on him. (He's a god. He can handle it.)

They take to the air. Thanatos tries to avoid the bursts of light, buildings and other structures coming apart as their illusion fails, and even some flying monsters. Buttercup will be treated to an aerial view of the chaos... if only she bothered to look.

Thanatos doesn't know if he'll need to hand her over to the VoidTreckers acting as anchors or do something else to help Buttercup. He just knows that she's better there then lost as the city crumbles. He sees them off in the distance. It shouldn't be too much longer unless Buttercup does something to cause Thanatos to lose his grip and then needing catch her out of the air.